Improved Halton sequences and discrepancy bounds

DOI10.1515/MCMA.2010.008zbMath1208.65007MaRDI QIDQ3068180

Henri Faure, Christiane Lemieux

Publication date: 13 January 2011

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

low discrepancy sequencesquasi-Monte Carlo methodscomputational finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Irregularities of distribution, discrepancy (11K38)

Related Items (3)

Discrepancy Bounds for β $$\boldsymbol{\beta }$$ -adic Halton Sequences ⋮ Discrepancy estimates for index-transformed uniformly distributed sequences ⋮ A review of discrepancy bounds for \((t, s)\) and \((t, \mathbf{e}, s)\)-sequences with numerical comparisons

Cites Work

• Good permutations for deterministic scrambled Halton sequences in terms of \(L_2\)-discrepancy
• On the star-discrepancy of generalized Hammersley sequences in two dimensions
• Good permutations for extreme discrepancy
• Improved upper bounds on the star discrepancy of \((t,m,s)\)-nets and \((t,s)\)-sequences
• Quasi-Random Sequences and Their Discrepancies
• Computational investigations of low-discrepancy sequences
• Polynomial arithmetic analogue of Halton sequences
• On the distribution of points in a cube and the approximate evaluation of integrals

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